Đa dạng hóa, hiệu quả và rủi ro tại các ngân hàng thương mại Việt Nam

Regression with Driscoll-Kraay

standard errors	Number of	obs	=	278
Method: Pooled OLS					Number of	groups	=	25
Group variable (i): bank					F( 5,	24)	=	5.04
maximum lag: 2					Prob > F		=	0.0027
					R-squared		=	0.0212
					Root MSE		=	0.1608
-------------------------------------------------------------------------------
Sta_inef	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
foc_asse	\|	-.126128	.072281	-1.74	0.094	-.2753088	.0230527
mar_shar	\|	.0908937	.0979169	0.93	0.363	-.1111968	.2929843
exp_asse	\|	.3658119	.8309938	0.44	0.664	-1.349275	2.080899
cos_inco	\|	.0006663	.0014779	0.45	0.656	-.002384	.0037166
nlo_asse	\|	-.0011254	.0004821	-2.33	0.028	-.0021204	-.0001304
_cons	\|	.1109086	.0754644	1.47	0.155	-.0448422	.2666594

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Regression with Driscoll-Kraay

standard errors	Number of	obs =	278
Method: Pooled OLS					Number of	groups =	25
Group variable (i): bank					F( 5,	24) =	2.20
maximum lag: 2					Prob > F	=	0.0873
					R-squared	=	0.0267
					Root MSE	=	0.1603
-------------------------------------------------------------------------------
Sta_inef	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
div_inco	\|	.1301989	.0878881	1.48	0.152	-.0511931	.311591
mar_shar	\|	-.0054291	.0876363	-0.06	0.951	-.1863016	.1754435
exp_asse	\|	.2964569	.9134288	0.32	0.748	-1.588768	2.181681
cos_inco	\|	.0008281	.0015098	0.55	0.588	-.002288	.0039441
nlo_asse	\|	-.0006211	.0002458	-2.53	0.019	-.0011284	-.0001138
_cons	\|	-.0170176	.0551949	-0.31	0.761	-.1309343	.0968991
-------------------------------------------------------------------------------

Phụ lục I3: Mô hình động đo lường tác động đa dạng hóa đến rủi ro các NHTM Việt Nam: Biến Loa_loss

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	259
Time variable : time	Number of groups	=	25
Number of instruments = 23	Obs per group: min	=	0
F(6, 25) = 62.94	avg	=	10.36
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |

L1. |

.0118853	.1071802	0.11	0.913	-.2088565	.232627
\|
foc_depo \|	.0042449	.0010941	3.88	0.001	.0019916	.0064982
mar_shar \|	.0062359	.0239596	0.26	0.797	-.0431098	.0555815
exp_asse \|	.5484391	.163646	3.35	0.003	.2114038	.8854745
cos_inco \|	.000101	.0000409	2.47	0.021	.0000167	.0001853
nlo_asse \|	.0000431	.000021	2.05	0.051	-.0000863	1.58e-07

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_depo ) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -2.20 Pr > z = 0.028 Arellano-Bond test for AR(2) in first differences: z = -0.74 Pr > z = 0.258

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(43) = 42.02 Prob > chi2 = 0.509 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	253
Time variable : time	Number of groups	=	25
Number of instruments = 21	Obs per group: min	=	0
F(6, 25) = 57.460	avg	=	10.12
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |

L1. |

.0879035	.0801181	1.10	0.283	-.0771028	.2529099
\| foc_loan \|	.0088709	.0035398	2.51	0.019	.0015806	.0161612
mar_shar \|	.1054677	.0413944	2.55	0.017	.0202144	.1907211
exp_asse \|	.6686059	.1047647	6.38	0.000	.4528389	.8843729
cos_inco \|	.0000517	.0000668	0.77	0.447	-.0001893	.000086
nlo_asse \|	.0001136	.0000205	5.54	0.000	-.0001559	-.0000714

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_loan)

collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -2.79 Pr > z = 0.005 Arellano-Bond test for AR(2) in first differences: z = -1.47 Pr > z = 0.143

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(27) = 17.22 Prob > chi2 = 0.926 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	259
Time variable : time	Number of groups	=	25
Number of instruments = 23	Obs per group: min	=	0
F(6, 25) = 227.23	avg	=	10.36
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |

L1. |

-.0132574	.0670129	-0.20	0.845	-.151273	.1247583
\|
foc_asse \|	.0064387	.0015333	4.20	0.000	.0032808	.0095966
mar_shar \|	-.0331528	.0217332	-1.53	0.140	-.0779131	.0116075
exp_asse \|	.5954016	.1053856	5.65	0.000	.378356	.8124473
cos_inco \|	.0001443	.0000323	4.47	0.000	.0000778	.0002108
nlo_asse \|	-.0000393	.0000294	-1.34	0.193	-.0000998	.0000212

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_asse ) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -2.99 Pr > z = 0.003 Arellano-Bond test for AR(2) in first differences: z = -4.11 Pr > z = 0.133

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(47) = 52.05 Prob > chi2 = 0.375 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	259
Time variable : time	Number of groups	=	25
Number of instruments = 22	Obs per group: min	=	0
F(6, 25) = 128.05	avg	=	10.36
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |

L1. |

.1794719	.0457002	3.93	0.001	.0853506	.2735932
\| div_inco \|	.0061398	.0015408	3.98	0.001	.0029664	.0093132
mar_shar \|	-.0028764	.0342891	-0.08	0.934	-.0734961	.0677433
exp_asse \|	.356518	.1171249	3.04	0.005	.1152948	.5977412
cos_inco \|	.0000853	.000034	2.51	0.019	.0000152	.0001554
nlo_asse \|	-9.77e-06	.0000283	-0.35	0.733	-.000068	.0000484

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.div_inco )

collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -4.28 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -1.54 Pr > z = 0.123

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(34) = 22.12 Prob > chi2 = 0.942 (Not robust, but not weakened by many instruments.)

Phụ lục I4: Mô hình động đo lường tác động của đa dạng hóa đến rủi ro các NHTM Việt Nam: Biến Sta_inef

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	192
Time variable : time	Number of groups	=	25
Number of instruments = 23	Obs per group: min	=	2
F(6, 25) = 28.520	avg	=	7.68
Prob > F = 0.000	max	=	14

----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------

Sta_inef

L1.

\| \|	.6226691	6.45e-08	9.7e+06	0.000	.6226689	.6226692
	\|
foc_depo	\|	9.27e-08	4.01e-08	2.31	0.029	1.02e-08	1.75e-07
mar_shar	\|	-5.76e-07	4.72e-07	-1.22	0.234	-1.55e-06	3.97e-07
exp_asse	\|	4.44e-06	2.61e-06	1.70	0.101	-9.31e-07	9.82e-06
cos_inco	\|	9.23e-10	2.66e-10	3.47	0.002	-1.47e-09	-3.75e-10
nlo_asse	\|	-9.71e-10	7.84e-10	-1.24	0.227	-2.59e-09	6.44e-10

----------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_depo)

collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.29 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 1.35 Pr > z = 0.176

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(25) = 24.94 Prob > chi2 = 0.466 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	189
Time variable : time	Number of groups	=	25
Number of instruments = 24	Obs per group: min	=	2
F(6, 25) = 78.880	avg	=	7.56
Prob > F = 0.000	max	=	14

----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------

Sta_inef |

L1. |

.6226691	2.65e-09	2.3e+08	0.000	.6226691	.6226691
foc_loan \|	1.21e-07	5.65e-08	2.15	0.042	5.03e-09	2.38e-07
mar_shar \|	-1.09e-06	1.11e-06	-0.98	0.337	-3.37e-06	1.20e-06
exp_asse \|	7.07e-06	3.11e-06	2.28	0.032	6.70e-07	.0000135
cos_inco \|	-4.53e-12	7.75e-10	-0.01	0.995	-1.60e-09	1.59e-09
nlo_asse \|	-2.05e-09	2.71e-09	-0.76	0.457	-7.63e-09	3.53e-09

----------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_loan) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.14 Pr > z = 0.002 Arellano-Bond test for AR(2) in first differences: z = 1.47 Pr > z = 0.140

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(37) = 37.51 Prob > chi2 = 0.446 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------- -----

Group variable: bank

Number of obs	=	192
Time variable : time	Number of groups	=	25
Number of instruments = 22	Obs per group: min	=	2
F(8, 25) = 93.350	avg	=	7.68
Prob > F = 0.000	max	=	14

----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------

Sta_inef |

L1. |

.6226692	6.16e-09	1.0e+08	0.000	.6226692	.6226692
\| foc_asse \|	3.80E-08	1.90E-08	4.11	0.000	7.97e-10	2.40e-09
mar_shar \|	1.34e-07	4.64e-07	0.29	0.775	-8.22e-07	1.09e-06
exp_asse \|	-2.22e-06	1.80e-06	-1.23	0.229	-5.94e-06	1.49e-06
cos_inco \|	-1.88e-10	5.44e-10	-0.35	0.732	-1.31e-09	9.33e-10
nlo_asse \|	8.06e-10	4.30e-10	1.88	0.072	-7.88e-11	1.69e-09

----------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_asse ) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.24 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 1.59 Pr > z = 0.104

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(71) = 54.17 Prob > chi2 = 0.931 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	192
Time variable : time	Number of groups	=	25
Number of instruments = 24	Obs per group: min	=	2
F(6, 25) = 45.860	avg	=	7.68
Prob > F = 0.000	max	=	14

----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------

Sta_inef |

L1. |

.6226691	5.84e-09	1.1e+08	0.000	.6226691	.6226692
\|
div_inco \|	1.05E-07	4.60E-08	3.26	0.003	1.65e-09	7.32e-09
mar_shar \|	-3.59e-08	5.37e-07	-0.07	0.947	-1.14e-06	1.07e-06
exp_asse \|	6.93e-07	3.79e-06	0.18	0.857	-7.12e-06	8.50e-06
cos_inco \|	1.96e-10	9.04e-10	0.22	0.830	-1.67e-09	2.06e-09
nlo_asse \|	-3.09e-10	8.19e-10	-0.38	0.709	-2.00e-09	1.38e-09

----------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.div_inco) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.24 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 1.23 Pr > z = 0.212

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(45) = 41.72 Prob > chi2 = 0.612 (Not robust, but not weakened by many instruments.)

PHỤ LỤC J: CÁC MÔ HÌNH ĐO LƯỜNG TÁC ĐỘNG ĐỒNG THỜI CỦA ĐA DẠNG HÓA, HIỆU QUẢ HOẠT ĐỘNG KINH DOANH, RỦI RO TẠI CÁC NHTM VIỆT NAM

Phụ lục J1: các mô hình đo lường tác động đồng thời đa dạng hóa, hiệu quả hoạt động kinh doanh, rủi ro (Loa_loss) các NHTM Việt Nam: Biến ROA

Seemingly unrelated regression

--------------------------------------------------------------------------

Equation Obs Parms RMSE "R-sq" chi2 P

--------------------------------------------------------------------------

roa

307	6	.3921148	0.7379	1170.07	0.0000
loa_loss	307	6	.0031353	0.6778	994.55	0.0000
foc_depo	307	5	.1444418	0.0343	22.38	0.0004

--------------------------------------------------------------------------

-------------------------------------------------------------------------------

| Coef. Std. Err. z P>|z| [95% Conf. Interval]

--------------+----------------------------------------------------------------

foc_depo |

roa |

.0510248	.012933	3.95	0.000	.0256766	.076373
loa_loss \|	6.223125	1.811681	3.44	0.001	2.672296	9.773954
ln_asse \|	-.0023502	.0021066	-1.12	0.265	-.006479	.0017787
equ_asse \|	-.122066	.1621825	-0.75	0.452	-.4399378	.1958059
dep_asse \|	.1317953	.0669706	1.97	0.049	.0005353	.2630554
_cons \|	.4965967	.0578046	8.59	0.000	.3833018	.6098916

-------------------------------------------------------------------------------

loa_loss |

roa |

-.0079927	.0003155	-25.33	0.000	-.0086111	-.0073744
foc_depo \|	.0031477	.0011739	2.68	0.007	.000847	.0054485
mar_shar \|	.0119355	.0031219	3.82	0.000	.0058166	.0180545
exp_asse \|	.3221071	.0326884	9.85	0.000	.2580389	.3861752
cos_inco \|	.0003288	.0000191	17.18	0.000	-.0003663	.0002913
nlo_asse \|	-.0000195	.0000117	-1.67	0.094	-.0000424	3.36e-06
_cons \|	.0241171	.0015478	15.58	0.000	.0210834	.0271507

--------------+----------------------------------------------------------------

roa |

loa_loss |

-90.02769	4.393049	-20.49	0.000	-98.63791	-81.41747
foc_depo \|	.4338834	.1575288	2.75	0.006	.1251326	.7426342
Ln_asse \|	.0144124	.0044272	3.26	0.001	.0057353	.0230894
tlo_asse \|	.8987807	.1709933	5.26	0.000	.5636401	1.233921
mar_shar \|	-.3073937	.429218	-0.72	0.474	-1.148645	.533858
equ_asse \|	2.17912	.4701853	4.63	0.000	1.257574	3.100666
_cons \|	1.998174	.1484106	13.46	0.000	1.707294	2.289053

--------------+----------------------------------------------------------------

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Ngày đăng: 11/07/2022